ch08data {FinTS}R Documentation

financial time series for Tsay (2005, chapter 8[text])

Description

Financial time series used in examples in chapter 8.

Usage

data(m.ibmsp2699ln)
data(m.bnd)
data(m.gs1n3.5301)
data(w.tb3n6ms)
data(sp5may)

Format

m.ibmsp2699ln
zoo object giving monthly simple and log returns of IBM stock and the Standard and Poor's 500 from 1926 through 1999. (This combines files 'm-ibmsp2699.txt' and 'm-ibmspln.txt' from the book's web site.)
m.bnd
zoo object giving the monthly simple returns of 30, 20, 10, 5 and 1 year maturity bonds from 1942 through 1999.
m.gs1n3.5301
zoo object giving 1 and 3 year US Treasury constant maturity interest rates from April 1953 to January 2001 (used in Example 8.6, pp. 373ff).
w.tb3n6ms
zoo object giving weekly 3 and 6 month US Treasury Bill interest rates from 1958-12-12 to 2004-08-06 (used in Sect. 8.6.5, pp. 385ff).
sp5may
A data.frame of 7061 observations on 4 variables based on minute-by-minute observations of the Standard and Poor's 500 Futures and prices in May 1993.

These data are used, after some processing, in Tsay(Sect. 8.7.2, pp. 392ff). Unfortunately, it's not yet clear what these numbers are. The following is a current guess and will doubtless change in the future.

Source

http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2

References

Forbes, C. S., Kalb, G. R. J., and Kofman, P. (1999) 'Bayesian Arbitrage Threshold Analysis', Journal of Business and Economic Statistics, 17: 364-372.

Ruey Tsay (1998) 'Testing and Modeling Multivariate Threshold Models', Journal of the American Statistical Association, 93: 1188-1202.

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 8)

See Also

ch01data ch02data


[Package FinTS version 0.3-6 Index]